Implicit Taylor methods for stiff stochastic differential equations

In this paper we discuss implicit Taylor methods for stiff Ito stochastic differential equations. Based on the relationship between Ito stochastic integrals and backward stochastic integrals, we introduce three implicit Taylor methods: the implicit Euler-Taylor method with strong order 0.5, the implicit Milstein-Taylor method with strong order 1.0 and the implicit Taylor method with strong order 1.5. The mean-square stability properties of the implicit Euler-Taylor and Milstein-Taylor methods are much better than those of the corresponding semi-implicit Euler and Milstein methods and these two implicit methods can be used to solve stochastic differential equations which are stiff in both the deterministic and the stochastic components. Numerical results are reported to show the convergence properties and the stability properties of these three implicit Taylor methods. The stability analysis and numerical results show that the implicit Euler-Taylor and Milstein-Taylor methods are very promising methods for stiff stochastic differential equations.

Topological methods for some boundary value problems

We establish existence of solutions for a finite difference approximation to y = f(x, y, y ') on [0, 1], subject to nonlinear two-point Sturm-Liouville boundary conditions of the form g(i)(y(i),y ' (i)) = 0, i = 0, 1, assuming S satisfies one-sided growth bounds with respect to y '. (C) 2001 Elsevier Science Ltd. All rights reserved.

Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations

In this paper we discuss implicit methods based on stiffly accurate Runge-Kutta methods and splitting techniques for solving Stratonovich stochastic differential equations (SDEs). Two splitting techniques: the balanced splitting technique and the deterministic splitting technique, are used in this paper. We construct a two-stage implicit Runge-Kutta method with strong order 1.0 which is corrected twice and no update is needed. The stability properties and numerical results show that this approach is suitable for solving stiff SDEs. (C) 2001 Elsevier Science B.V. All rights reserved.

Laser-derived particle size data from CRP-3, Victoria Land Basin, Antarctica: Implications for sequence and seismic stratigraphy

Seven hundred and nineteen samples from throughout the Cainozoic section in CRP-3 were analysed by a Malvern Mastersizer laser particle analyser, in order to derive a stratigraphic distribution of grain-size parameters downhole. Entropy analysis of these data (using the method of Woolfe and Michibayashi, 1995) allowed recognition of four groups of samples, each group characterised by a distinctive grain-size distribution. Group 1, which shows a multi-modal distribution, corresponds to mudrocks, interbedded mudrock/sandstone facies, muddy sandstones and diamictites. Group 2, with a sand-grade mode but showing wide dispersion of particle size, corresponds to muddy sandstones, a few cleaner sandstones and some conglomerates. Group 3 and Group 4 are also sand-dominated, with better grain-size sorting, and correspond to clean, well-washed sandstones of varying mean grain-size (medium and fine modes, respectively). The downhole disappearance of Group 1, and dominance of Groups 3 and 4 reflect a concomitant change from mudrock- and diamictite-rich lithology to a section dominated by clean, well-washed sandstones with minor conglomerates. Progressive downhole increases in percentage sand and principal mode also reflect these changes. Significant shifts in grain-size parameters and entropy group membership were noted across sequence boundaries and seismic reflectors, as recognised in others studies.